Maximum likelihood estimation of the double exponential jump-diffusion process

Aït-Sahalia Y. (2002) Maximum-likelihood estimation of discretely-sampled diffusions: a closed-form approximation approach. Econometrica 70, 223–262

Aït-Sahalia Y. (2004) Disentangling diffusion from jumps. J Financ Econ 74, 487–528

Aït-Sahalia Y., Hansen L.P. (2004) Handbook of Financial Econometrics. Amsterdam, North-Holland

Andersen L., Andreasen J. (2000) Jump-diffusion processes: Volatility smile fitting and numerical methods for pricing. Rev Derivative Res 4, 231–262

Andersen T.G., Benzoni L., Lund J. (2000) An empirical investigation of continuous-time equity return models. J Finance 57, 1239–1284

Bates D.S. (2003a) Empirical option pricing: a retrospection. J Econom 116(1–2): 387–404

Bates D.S. (2003b) Maximum likelihood estimation of latent affine processes. Working Paper, University of Iowa

Broadie M., Yamamoto Y. (2003) Application of the fast gauss transform to option pricing. Manage Sci 49(8): 1071–1088

Carr P., Madan D. (1999) Option pricing using the fast fourier transform. J Comput Finance 2(4): 61–73

Carr P., Wu L. (2004) Time-changed Lévy processes and option pricing. Financ Econ 17(1): 113–141

Chernov M., Gallant A.R., Ghysels E., Tauchen G. (2003) Alternative models for stock price dynamics. J Econom 116(1–2): 225–257

Cont R., Tankov P. (2003) Financial modelling with jump processes. London, Chapman & Hall / CRC, Financial Mathematic Series

Cont R., Tankov P. (2004) Nonparametric calibration of jump-diffusion option pricing models. J Comput Finance 7(3): 1–49

dH́alluin, Y., Forsyth, P., Vetzal, K.: Robust numerical methods for contingent claims under jump diffusion processes. Working Paper, School of Computer Science, University of Waterloo (2004)

Duffie D., Pan J., Singleton K.J. (2000) Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68(6): 1343–1376

Eraker B., Johannes M., Polson N. (2003) The impact of jumps in volatility and returns. J Finance 58(3): 1269–1300

Garcia, R., Ghysels, E., Renault, E.: The econometrics of option pricing, Working Paper, Université de Montréal - CIREQ / Département de sciences économiques (2004)

Hamilton J.D. (1994) Time Series Analysis. Princeton, Princeton University Press

Honoré P. (1998) Pitfalls in estimating jump diffusion models. Working Paper, University of Aarhus

Huang, J., Huangm M.: How much of the corporate-treasury yield spread is due to credit risk?, Working Paper, Graduate School of Business, Stanford University (2003)

Huang J., Wu L. (2004) Specification analysis of option pricing models based on time-changed Lévy processes. J Finance 59(3): 1405–1439

Jackwerth J., Rubinstein M. (1996) Recovering probability distributions from option prices. J Finance 51, 1611–1631

Keppo, J., Meng, X., Shive, S., Sullivan, M.: Modelling and hedging options under stochastic pricing parameters, Working Paper, Industrial and Operations Engineering, University of Michigan at Ann Arbor (2003)

Kiefer N.M. (1978) Discrete parameter variation: efficient estimation of switching regression model. Econometrica 46(2): 427–34

Kou S. (2002) A jump diffusion model for option pricing. Manage Sci 48(8): 1086–1101

Kou S., Wang H. (2004) Option pricing under a double exponential jump diffusion model. Manage Sci 50(9): 1178–1192

Lee, R.W.: Implied volatility: Statics, dynamics, and probabilistic interpretation. Recent advances in applied probability (2006), (inpress)

Lewis, A.: A simple option formula for general jump-diffusion and other exponential Lévy processes. Envision financial system and optioncitynet (2001)

Maheu J.M., McCurdy T. (2004) News arrival, jump dynamics and volatility components for individual stock returns. J Finance 59(2): 755–768

Merton RC. (1976a) Option pricing when underlying stock returns are discontinuous. J Financ Econ 3, 224–244

Merton R.C. (1976b) The impact on option pricing of specification error in the underlying stock price returns. J Finance 31(2): 333–350

Milgrom P.R. (1981) Good news and bad news: representation theorems and applications. Bell J Econ 12, 380–391

Naik V. (1993) Option valuation and hedging strategies with jumps in the volatility of asset returns. J Finance 48(5): 1969–1984

Patel J., Kapadia C.H., Owen D.B. (1976) Handbook of Statistical Distributions. New York, Marcel Dekker Inc.

Press S.J. (1967) A compound events model for security prices. J Busi 40, 317–335

Press W.H., Teukolsky S.A., Vetterling W.T., Flannery B.P. (1992) Numerical Recipes in FORTRAN. London, Cambridge University Press

Protter P. (1991) Stochastic Integration and Differential Equations. Berlin Heidelberg New York, Springer

Ramezani, C., Zeng, Y.:Maximum likelihood estimation of asymmetric jump-diffusion processes: Application to security prices, Working Paper, Department of Mathematics and Statistics, University of Missouri, Kansas City, see http://papers.ssrn.com/sol3/papers.cfm?abstract_id=606361 (1998)

Ramezani, C., Zeng, Y.: An empirical assessment of the double exponential jump-diffusion process, Working Paper, Department of Mathematics and Statistics, University of Missouri, Kansas City, see http://papers.ssrn.com/sol3/papers.cfm?abstract_id=606101 (2005)

Schwarz G. (1978) Estimating the dimension of a model. Ann Stat 6, 461–464

Sepp A. (2004) Analytical pricing of double-barrier options under a double-exponential jump diffusion process: Applications of laplace transform. Int J Theor Appl Finance 7(2): 151–175

Sorensen M. (1991) Likelihood methods for diffusions with jumps. In: Prabhu N.V., Basawa I.V. (eds) Statistical Inference in Stochastic Processes. New York, Marcel Dekker, Inc.

Tsay R.S. (2002) Analysis of Financial Time Series. Wiley Series in Probability and Statistics. Wiley Inter-Science